Limit theorems for a class of diffusion processes

We consider a diffusion process {x(t)} on a compact Riemannian manifold with generator δ/2 + b. A current‐valued continuous stochastic process {X _t} in the sense of Itô [8] corresponds to {x(t)} by considering the stochastic line integral X _t(a) along {x(t)} for every smooth 1-form a. Furthermore {X _t} is decomposed into the martingale part and the bounded variation part as a current-valued continuous process. We show the central limit theorems for {X _t} and the martingale part of {X _t}. Occupation time laws for recurrent diffusions and homogenization problems of periodic diffusions are closely related to these theorems     

On–off fluid models in heavy traffic environment

We consider fluid models with infinite buffer size. Let {Z _N (t)} be the net input rate to the buffer, where {{Z _N (t)} is a superposition of N homogeneous alternating on–off flows. Under heavy traffic environment {{Z _N (t)} converges in distribution to a centred Gaussian process with covariance function of a single flow. The aim of this paper is to prove the convergence of the stationary buffer content process {X _N ^* (t)} in the fNth model to the buffer content process {X _N (t)} in the limiting Gaussian model. This revised version was published online in June 2006 with corrections to the Cover Date.     

Some path properties of generalized Lévy sheet

Let X(t) be an N parameter generalized Lévy sheet taking values in ℝ^d with a lower index α, ℜ = {(s, t] = ∏ _i=1 ^N (s _i, t _i], s _i < t _i}, E(x, Q) = {t ∈ Q: X(t) = x}, Q ∈ ℜ be the level set of X at x and X(Q) = {x: ∃t ∈ Q such that X(t) = x} be the image of X on Q. In this paper, the problems of the existence and increment size of the local times for X(t) are studied. In addition, the Hausdorff dimension of E(x, Q) and the upper bound of a uniform dimension for X(Q) are also established.     

Ergodicity of a class of nonlinear time series models in random environment domain

In this paper, we study the problem of a variety of p, onlinear time series model Xn＋ 1= TZn＋1（X（n）, … ,X（n - Zn＋l）, en＋1（Zn＋1）） in which {Zn} is a Markov chain with finite state space, and for every state i of the Markov chain, {en（i）} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {Xn} defined by the above model is investigated. Some new novel results on the underlying models are presented.     

Large deviations for heavy-tailed random sums of independent random variables with dominatedly varying tails

We prove large deviation results on the partial and random sums Sn = ∑i=1n Xi,n≥1; S(t) = ∑i=1N(t) Xi, t≥0, where {N(t);t≥0} are non-negative integer-valued random variables and {Xn;n≥1} are independent non-negative random variables with distribution, Fn, of Xn, independent of {N(t); t≥0}. Special attention is paid to the distribution of dominated variation.     

Large deviations for sums of independent random variables with dominatedly varying tails

In this paper the large deviation results for partial and random sums Sn-ESn=n∑i=1Xi-n∑i=1EXi,n≥1;S(t)-ES(t)=N(t)∑i=1Xi-E(N(t)∑i=1Xi),t≥0are proved, where {N(t); t≥ 0} is a counting process of non-negative integer-valued random variables, and {Xn; n ≥ 1} are a sequence of independent non-negative random variables independent of {N(t); t ≥ 0}. These results extend and improve some known conclusions.     

Results on Local Times of a Class of Multiparameter Gaussian Processes

In this paper, we introduce a class of Gaussian processes Y={Y（t）：t∈R^N},the so called hifractional Brownian motion with the indcxes H=（H1,…,HN）and α. We consider the （N, d, H, α） Gaussian random field x（t） = （x1 （t）,..., xd（t））,where X1 （t）,…, Xd（t） are independent copies of Y（t）, At first we show the existence and join continuity of the local times of X = {X（t）, t ∈ R＋^N}, then we consider the HSlder conditions for the local times.     

Norming constants for the finite mean supercritical Bellman-Harris process

Summary Let {Z(t)} be a supercritical Bellman-Harris process with offspring distribution {p _k} and lifetime distributionG. It is shown that the finiteness of the offspring mean guarantees the existence of norming constants {C(t)} such that a.s. for some nondegenerate random variableW. C(t) is the-quantile of the distribution function ofZ(t), whereq<<1,q being the extinction probability of the process. As a byproduct of the proof, {Z(t)/C(t)} is shown to be asymptotic Markov. The theory of weakly stable sums of i.i.d. is used to get characterizations ofW and {C(t)}.     

Reduced invariant sets

Let K be a compact Lie group and W a finite-dimensional real K-module. Let X be a K-stable real algebraic subset of W. Let I(X){\mathcal{I}(X)} denote the ideal of X in \mathbbR[W]{\mathbb{R}[W]} and let I_K(X){\mathcal{I}_{K}(X)} be the ideal generated by I(X)^K{\mathcal{I}(X)^{K}} . We find necessary conditions and sufficient conditions for I(X) = I_K(X){{\mathcal{I}(X) = \mathcal{I}_{K}(X)}} and for ?{I_K(X)} = I(X){{\sqrt{\mathcal{I}_{K}(X)} = \mathcal{I}(X)}} . We consider analogous questions for actions of complex reductive groups.     

Weak Convergence of a Nonlinear Functional of a Stationary Gaussian Process. Application to the Local Time

Let {X _t : 0 ≦ t ≦ 1} be a centered stationary Gaussian process, with correlation function satisfying the condition ρ(t) = 1 − t ^β L(t), 0 < β < 2, and let L be a slowly varying function at zero. Observing the process at points i/N, i = 0,1,..., N and considering |X _i/N − X _(i-1)/N | ^p with p > 0, we study the properties of the Donsker line associated with p-th order variations . We also study the relationship between the number of crossings of a regularization of the initial process and the local time of the initial process. The results depend on the values of β. This revised version was published online in June 2006 with corrections to the Cover Date.     

A two-fluid storage model with Lévy inputs and alternating outputs

In this paper we consider a storage model with two types of inputs and outputs that are subject to seasonal switching. Inputs are assumed to occur in a fluid fashion whereas outputs occur at a unit rate so long as the corresponding storage is non-empty. The distribution properties of the storage levels {Z ₁(t),Z ₂(t)} are derived at finite time as well as in stationary regime. We first investigate this process embedded at the successive switching points. This process is Markovian with independent components. In continuous time the components {Z ₁(t),Z ₂(t)} are also independent for each finite t, but are dependent in stationary regime.      

具有功能反应的两斑块扩散时滞竞争系统正周期解的存在性

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The Generalized Multifractional Field: A Nice Tool for the Study of the Generalized Multifractional Brownian Motion

The Generalized Multifractional Brownian Motion (GMBM) is a continuous Gaussian process {X(t)}_{t ? [0,1]}\{X(t)\}_{t\in [0,1]} that extends the classical Fractional Brownian Motion (FBM) and the Multifractional Brownian Motion (MBM) [15, 4, 1, 1]. Its main interest is that, its Hölder regularity can change widely from point to point. In this article we introduce the Generalized Multifractional Field (GMF), a continuous Gaussian field {Y(x,y)}_{(x,y) ? [0,1] ²}\{Y(x,y)\}_{(x,y)\in [0,1]^{\,2}} that satisfies for every tt, X(t)=Y(t,t)X(t)=Y(t,t). Then, we give a wavelet decomposition of YY and using this nice decomposition, we show that YY is b\beta-Hölder in yy, uniformly in xx. Generally speaking this result seems to be quite important for the study of the GMBM. In this article, it will allow us to determine, without any restriction, its pointwise, almost sure, Hölder exponent and to prove that two GMBM's with the same Hölder regularity differ by a "smoother' process.     

On the Lyapunov Exponent of a Multidimensional Stochastic Flow

Let X _t be a reversible and positive recurrent diffusion in ℝ^d described by

Wellposedness of abstract Cauchy problems for second order differential equations

This paper concerns the abstract Cauchy problem (ACP) for an evolution equation of second order in time. LetA be a closed linear operator with domainD(A) dense in a Banach spaceX. We first characterize the exponential wellposedness of ACP onD(A ^k+1),k teN. Next let {C(t);t teR} be a family of generalized solution operators, on [D(A ^k)] toX, associated with an exponentially wellposed ACP onD(A ^k+1). Then we define a new family {T(t); Ret>0} by the abstract Weierstrass formula. We show that {T(t)} forms a holomorphic semigroup of class (H _k) onX. Research of the second-named author was partially supported by Grant-in-Aid for Scientific Research (No. 63540139), Ministry of Education, Science and Culture.     

Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime

In this paper we derive a technique for obtaining limit theorems for suprema of Lévy processes from their random walk counterparts. For each a>0, let $\{Y^{(a)}_{n}:n\ge1\}In this paper we derive a technique for obtaining limit theorems for suprema of Lévy processes from their random walk counterparts. For each a>0, let {Y^(a)_n:n 3 1}\{Y^{(a)}_{n}:n\ge1\} be a sequence of independent and identically distributed random variables and {X^(a)_t:t 3 0}\{X^{(a)}_{t}:t\ge0\} be a Lévy process such that X₁^(a)=^dY₁^(a)X_{1}^{(a)}\stackrel{d}{=}Y_{1}^{(a)}, \mathbbEX₁^(a) < 0\mathbb{E}X_{1}^{(a)}<0 and \mathbbEX₁^(a)-0\mathbb{E}X_{1}^{(a)}\uparrow0 as a↓0. Let S^(a)_n=?_k=1ⁿ Y^(a)_kS^{(a)}_{n}=\sum _{k=1}^{n} Y^{(a)}_{k}. Then, under some mild assumptions, , for some random variable and some function Δ(⋅). We utilize this result to present a number of limit theorems for suprema of Lévy processes in the heavy-traffic regime.     

Well-Posedness of Fractional Differential Equations on Vector-Valued Function Spaces

We study the well-posedness of the fractional differential equations with infinite delay (P ₂): D^a u(t)=Au(t)+ò^t_-￥a(t-s)Au(s)ds + f(t), (0 ￡ t ￡ 2p){D^\alpha u(t)=Au(t)+\int^{t}_{-\infty}a(t-s)Au(s)ds + f(t), (0\leq t \leq2\pi)}, where A is a closed operator in a Banach space ${X, \alpha > 0, a\in {L}^1(\mathbb{R}_+)}${X, \alpha > 0, a\in {L}^1(\mathbb{R}_+)} and f is an X-valued function. Under suitable assumptions on the parameter α and the Laplace transform of a, we completely characterize the well-posedness of (P ₂) on Lebesgue-Bochner spaces L^p(\mathbbT, X){L^p(\mathbb{T}, X)} and periodic Besov spaces B _p,q^s(\mathbbT, X){{B} _{p,q}^s(\mathbb{T}, X)} .     

The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion

Let {W(t),t∈R}, {B(t),t∈R } be two independent Brownian motions on R with W(0) = B(0) = 0. In this paper, we shall consider the exact Hausdorff measures for the image and graph sets of the d-dimensional iterated Brownian motion X(t), where X(t) = (Xi(t),... ,Xd(t)) and X1(t),... ,Xd(t) are d independent copies of Y(t) = W(B(t)). In particular, for any Borel set Q (?) (0,∞), the exact Hausdorff measures of the image X(Q) = {X(t) : t∈Q} and the graph GrX(Q) = {(t, X(t)) :t∈Q}are established.     

Joint asymptotic distribution of exceedances point process and partial sum of stationary Gaussian sequence

Let {X _i } _i=1^∞ be a standardized stationary Gaussian sequence with covariance function r(n) = EX ₁ X _n+1, S _n = Σ _i=1 ⁿ X _i , and $\bar X_n = \tfrac{{S_n }} {n} $\bar X_n = \tfrac{{S_n }} {n} . And let N _n be the point process formed by the exceedances of random level $(\tfrac{x} {{\sqrt {2\log n} }} + \sqrt {2\log n} - \tfrac{{\log (4\pi \log n)}} {{2\sqrt {2\log n} }})\sqrt {1 - r(n)} + \bar X_n $(\tfrac{x} {{\sqrt {2\log n} }} + \sqrt {2\log n} - \tfrac{{\log (4\pi \log n)}} {{2\sqrt {2\log n} }})\sqrt {1 - r(n)} + \bar X_n by X ₁,X ₂,…, X _n . Under some mild conditions, N _n and S _n are asymptotically independent, and N _n converges weakly to a Poisson process on (0,1].     

Estimates and regularization for solutions of some ill-posed problems of elliptic and parabolic type

In this paper, we examine, in a systematic fashion, some ill-posed problems arising in the theory of heat conduction. In abstract terms, letH be a Hilbert space andA: D (A)?H→H be an unbounded normal operator, we consider the boundary value problemü(t)=Au(t), 0<t<∞,u(0)=u ₀∈D(A), \(\mathop {\lim }\limits_{t \to 0} \left\| {u\left( t \right)} \right\| = 0\) . The problem of recoveringu ₀ whenu(T) is known for someT>0 is not well-posed. Suppose we are given approximationsx ₁,x ₂,…,x _N tou(T ₁),…,u(T _N) with 0<T, <…<T _N and positive weightsP _i,i=1,…,n, \(\sum\limits_{i = 1}^N {P_i = 1} \) such that \(Q_2 \left( {u_0 } \right) = \sum\limits_{i = 1}^N {P_i } \left\| {u\left( {T_i } \right) - x_i } \right\|^2 \leqslant \varepsilon ^2 \) . If ‖u _t(0)‖≤E for some a priori constantE, we construct a regularized solution ν(t) such that \(Q\left( {\nu \left( 0 \right)} \right) \leqslant \varepsilon ^2 \) while \(\left\| {u\left( 0 \right) - \nu \left( 0 \right)} \right\| = 0\left( {ln \left( {E/\varepsilon } \right)} \right)^{ - 1} \) and \(\left\| {u\left( t \right) - \nu \left( t \right)} \right\| = 0\left( {\varepsilon ^{\beta \left( t \right)} } \right)\) where 0<β(t)<1 and the constant in the order symbol depends uponE. The function β(t) is larger thant/m whent _k andk is the largest integer such that \((\sum\limits_{k = 1}^N {P_i (T_i )} )< (\sum\limits_{k = 1}^N {P_i (T_i )} = m\) , which β(t)=t/m on [T _k, m] and β(t)=1 on [m, ∞). Similar results are obtained if the measurement is made in the maximum norm, i.e.,Q _∞(u ₀)=max{‖u(T _i)?x _i‖, 1≤i≤N}.